Market spikes Vs. Bracket Orders - how does your platform handle that?

July 16th, 2018, 04:26 AM

xplorer

By the way, there's another quick step that I took to ensure any potential delay from my platform's point of view is minimized, and that's change the priority of the platform in Window's Task Manager

I have automated the task above with the following batch file

Code

start /d "C:\Program Files\CQG\QTrader\Bin\" /b logcln32.exe
timeout 300
wmic process where name="cqg.exe" CALL setpriority "high priority"

It should be relatively easy to change that to suit your own platform.

The timeout is to wait an appropriate amount of time (I set it to 5 mins) to ensure the platform is up and running but, when it is, you can just press a button and it will change the process priority without waiting for the 5 mins to completely elapse.

August 1st, 2018, 04:17 AM

As a follow-up to this thread, yesterday I had another event such as the one in the OP. This time it was a live trade.

By analyzing the ms timestamps (thanks @sam028) I could see the following

(this is UK time)
Bracket limit order filled at 14:49:39.820
Stop trigger was attempted at 14:49:40.008

So, this time, the trigger took place within 188 ms, a timing in line with what would happen during quiet hours. Still, the market spike was too fast for the bracket order.

Since I had experienced this before, I wasn't as bamboozled and I closed manually for a contained loss of 9 ticks.

One of the original questions I had was, isn't it better to just place a manual limit and stop order?

In this specific case, I think it's likely that the slippage I would have experienced by the spike hitting a manual stop would have been worse, although the market went only 3 ticks further.

It sounds like there is no straight answer, and it's probably a matter of trial and error.

Market spikes Vs. Bracket Orders - how does your platform handle that?

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Market spikes Vs. Bracket Orders - how does your platform handle that?